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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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3 results for “GARCH-MIDAS”
On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futuresq-fin.ST

The study analyzes macroeconomic factors affecting copper futures volatility and long-term correlation with S&P 500.

problem Understanding the impact of macroeconomic variables on copper futures volatility and long-term correlation.
method Employed GARCH-MIDAS and DCC-MIDAS modeling frameworks to examine the influence of low-frequency macroeconomic variables on copper futures returns and long-term correlation with S&P 500.
result PPI is the most efficient macroeconomic variable impacting copper futures returns, and MIDAS filter improves model fitness and long-run relationship.
copper futuresmacroeconomic variablesGARCH-MIDASDCC-MIDASlong-term correlation
2024-09-12abs ↗pdf ↗
The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS modelq-fin.ST

The study examines how global economic policy uncertainty affects crude oil futures volatility.

problem Predicting crude oil futures volatility using global economic policy uncertainty.
method Established single-factor and two-factor models under the GARCH-MIDAS framework, tested with rolling-window and fixed-span specifications.
result GEPU changes have stronger predictive power than the GEPU index for crude oil futures volatility.
crude oil futuresvolatilityglobal economic policy uncertaintyGARCH-MIDAStwo-factor model
2020-07-25abs ↗pdf ↗
Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Dataq-fin.ST

Transformer model with mixed-frequency data improves stock volatility prediction.

problem Improving stock volatility prediction using mixed-frequency data.
method Transformer model trained on mixed-frequency data (GARCH-MIDAS model for frequency alignment).
result Transformer model reduces mean square error from 1.00 to 0.86.
Transformer modelmixed-frequency datastock volatilityGARCH-MIDASmean square error
2023-09-28abs ↗pdf ↗